Is the ESG portfolio less turbulent than a market benchmark portfolio?

Given that there is no consensus on the fact ESG portfolios are characterized by very high returns and low risks compared to conventional portfolios, this study aims empirically verify whether series of an portfolio less volatile than a benchmark market portfolio. To hypothesis, we used Markov-switching GARCH models in order model process daily “MSCI USA Select,” as well those “S&P 500,” during period June 01, 2005 December 31, 2020 excluding COVID19 crisis from 1, October 29, 2019. It can be concluded Select” relatively turbulentcompared 500.”